I don't think there necessarily something wrong with your code. It's just the highs and lows on the DJI aren't real. Just test any other index. I don't imagine indices will work too well though.

Trading With Moving Averages

OK, well the high wasn't hit today and it's nearly tomorrow (or at least it is here) so I have to adjust my profit take/open short order. Friday's high was 0.96867, Monday's high was 0.96757. So that's (0.96867+0.96757)/2 = 0.96812. Order adjusted ...

Trading With Moving Averages

You can't trust the High's and Low's on DJI data - I think the index is still calculated similarly to how it was in 1851! I think the high is each stock's high / 30, and the low is each stock's low / 30. Since, in reality, the individual components ...

Trading With Moving Averages

OK well, it's the weekend now and the take profit and go short order wasn't hit yesterday so I now have to amend it with (Thursday's High + Friday's High)/2. The figures I have on metatrader are (0.97633+0.96867)/2 so I have to close the long and ...

Trading With Moving Averages

Well perhaps I should have explained it better. But please try the testing yourself and let me know if you get a different result. You only need daily OHLC data. It's always in the market and the open orders/take profit levels are adjusted daily. Go ...

Trading With Moving Averages

As I said, the profit factor is 1.5 to 1. In my experience, you never get a profit factor above 2:1 on Forex except with long-term trend following systems on pairs like the EUR/USD.

Trading With Moving Averages

I think you miss understand, it's not 1.5r - wins aren't 1.5 times the size of losers. Wins are (on average) smaller than losers, but the very high number of them makes the total number of winning pips 1.5 times the total number of pips lost. A ...

Trading With Moving Averages

Well, back-testing will only get you so far... Sooner or later you've got to bite the bullet and do some forward testing, with demo if need be but even that will only get you so far too. Eventually it's gotta be tested with real money. That's what ...

Trading With Moving Averages

Do you believe that these lemmings that run the market and create more volatility than randomness would generate effect smaller markets more than larger ones? For example, would the 'lemming' effect be increased as the market's liquidity decreased? ...

Trading With Moving Averages

Yeah, I'm guessing that something makes the pairs more volatile than random chance suggests movements should be. Other than that I don't know what it is, and that bothers me. I haven't tried this on stock indexes. To be honest, I wouldn't recommend ...

Trading With Moving Averages

Yes, it essentially is a reversion to the mean system I guess. The fact that it's a simple system with over 1,000 trades tested in the last decade on each currency pair; and each pair tested produced a statistically significant result, must, in my ...

Trading With Moving Averages

Good luck with the research, let me know if you find anything interesting... I still believe that the best edge it's possible to have is by entering a trade in the direction of the long-term underlying trend and waiting. If markets were random no ...

Trading With Moving Averages

Hello Soso, I tested your suggestion to remove the trend filter. The result was double the number of trades and pretty much the same winning pips to losing pips ratio on every currency pair except the EUR/USD where it fell from around 1.5 to 1 to ...

Trading With Moving Averages

Hi Soso, You're right. This is NOT a trend following system and not normally the sort of thing I trade. I only made it due to the number of people who tell me that they don't like systems that trade only a few time a year like the long-term trend ...

Trading With Moving Averages

There would be no point going back four decades to 1970 even if you could, the markets have changed so much since then. 20-day breakouts were very profitable in the 1970's - a system that made Richard Dennis and William Eckhart rich doesn't even ...

What Constitutes a Statistically Significant Sample for Back Testing?

Thanks soso, Hope you make loadsa cash this year too I don't normally even go for systems like this as I'm still a firm believer that simply following the trend until it ends is best - but systems that trade a lot more often than trend following ...

Trading With Moving Averages

You managed to find a system with a 99% failure rate? Awesome, please share it. Be great to take the opposite side of those trades

How to keep in faith with a statistically profitable system?

Thanks very much

How to keep in faith with a statistically profitable system?

I downloaded daily historial Forex data from metatrader and used SQL. But the lanaguage used to test it isn't that important, test it with any suitable piece of software and you'll get the same results. The system is designed to take little time to ...

Trading With Moving Averages

Oh I don't know, if it lost 30 times in a row I wouldn't bet on the 31st one being a winner! There are two possibilities - 1. It really does have a 90% chance of success and the rarest event ever has happened - i.e. something with a 10% chance of ...

How to keep in faith with a statistically profitable system?